newfts = toquarterly(oldfts) converts a
financial time series of any frequency to a quarterly frequency. The
default quarterly days are the last business day of March, June, September,
and December. toquarterly uses holidays.m to
determine valid trading days.

Note
If oldfts contains time-of-day information, newfts displays
the time-of-day as 00:00 for those days that did
not previously exist in oldfts.

Empty ([ ]) passed as inputs for parameter
pair values for toquarterly will trigger the use
of the defaults.

newfts = toquarterly(oldfts, 'ParameterName', ParameterValue,
...) accepts parameter name/parameter value pairs as input,
as specified in the following table.

Parameter Name

Parameter
Value

Description

CalcMethod

CumSum

Returns the cumulative sum of the values between each
quarter. Data for missing dates are given the value 0.

Exact

Returns the exact value at the end-of-quarter date. No
data manipulation occurs.

Nearest

(Default) Returns the values located at the end-of-quarter
date. If there is missing data, Nearest returns
the nearest data point preceding the end-of-quarter date.

SimpAvg

Returns an averaged quarterly value that only takes into
account dates with data (nonNaN) within each quarter.

v21x

This mode is compatible with previous versions of this
function (Version 2.1.x and earlier). It returns an averaged end-of-quarter
value using a previous toquarterly algorithm. This
algorithm takes into account all dates and data. For dates that do
not contain any data, the data is assumed to be 0.

Note
If you set CalcMethod to v21x,
settings for all of the following parameter name/parameter value pairs
are not supported.

BusDays

0

Generates a financial time series that ranges from (or
between) the first date to the last date in oldfts (includes
NYSE nonbusiness days and holidays).

1

(Default) Generates a financial time series that ranges
from the first date to the last date in oldfts (excludes
NYSE nonbusiness days and holidays and weekends based on AltHolidays and Weekend).
If an end-of-quarter date falls on a nonbusiness day or NYSE holiday,
returns the last business day of the quarter.

NYSE market
closures, holidays, and weekends are observed if AltHolidays and Weekend are
not supplied or empty ([]).

DateFilter

Absolute

(Default) Returns all quarterly dates between the start
and end dates of oldfts. Some dates may be disregarded
if BusDays = 1.

Note:
The default is to create a time series with every date at the
specified periodicity, which is with DateFilter = Absolute.
If you use DateFilter = Relative,
the endpoint effects do not apply since only your data defines which
dates will appear in the output time series object.

Relative

Returns only quarterly dates that exist in oldfts.
Some dates may be disregarded if BusDays = 1.

ED

0

(Default) The end-of-quarter date is the last day (or
last business day) of the quarter.

1 - 31

Specifies a particular end-of-quarter day. Months that
do not contain the specified end-of-quarter day return the last day
of the quarter instead (for example, ED = 31 does not exist for February).

EM

1 - 12

Last month of the first quarter. All subsequent quarterly
dates are based on this month. The default end-of-first-quarter month
is March (3).

EndPtTol

[Begin, End]

Denotes the minimum number of days that constitute a
odd quarter at the endpoints of the time series (before the first
whole period and after the last whole period).

Begin and End must
be -1 or any positive integer greater than or equal
to 0.

A single value input for EndPtTol is
the same as specifying that single value for Begin and End.

-1 Do not include odd
quarter dates and data in calculations.

0 (Default) Include
all odd quarter dates and data in calculations.

n Number of days (any
positive integer) that constitute an odd quarter. If there are insufficient
days for a complete quarter, the odd quarter dates and data are ignored.

The following
diagram is a general depiction of the factors involved in the determination
of endpoints for this function.

TimeSpec

First

Returns only the observation that occurs at the first
(earliest) time for a specific date.

Last

(Default) Returns only the observation that occurs at
the last (latest) time for a specific date.

AltHolidays

Vector of dates specifying an alternate set of market
closure dates.

-1

Excludes all holidays.

Weekend

Vector of length 7 containing 0's and 1's. The value
1 indicates a weekend day. The first element of this vector corresponds
to Sunday. For example, when Saturday and Sunday are weekend
days (default) then Weekend =
[1 0 0 0 0 0 1].